Stationary solution and parametric estimation for bilinear model driven by ARCH noises

Stationary solution and parametric estimation for bilinear model driven by ARCH noises

Bilinear model driven by ARCH (1) noises is proposed. Existence, uniqueness and form of stationary solution to this new model are presented. Maximum likelihood estimation of the model is discussed and some simulation results are given to evaluate our algorithm.

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Veröffentlicht in:Science China. Mathematics 2002-12, Vol.45 (12), p.1523-1537
Hauptverfasser: Jiazhu, Pan, Guodong, Li, Zhongjie, Xie
Format: Artikel
Sprache:eng
Schlagworte:
Algorithms
Arches
Maximum likelihood estimation
Parameter estimation
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Zusammenfassung:Bilinear model driven by ARCH (1) noises is proposed. Existence, uniqueness and form of stationary solution to this new model are presented. Maximum likelihood estimation of the model is discussed and some simulation results are given to evaluate our algorithm.
ISSN:1869-1862
1674-7283
1869-1862
DOI:10.1360/02ys9164